photo of Mark Jensen

Mark Jensen

Financial Economist and Adviser
personal website
email :: 404-498-8019

To interview economists, press should contact Public Affairs at 404-498-8748.

  • Biography

    Mark Jensen is a financial economist and policy adviser on the financial markets team in the research department of the Federal Reserve Bank of Atlanta. Dr. Jensen concentrates his research on estimating diffusion models of stock prices using stock and option price data and designing estimators of the volatility present in financial instruments. He has also been heavily involved with the Federal Reserve System's Comprehensive Capital Analysis and Review (CCAR) by participating on the risk evaluation team for retail products and validating the Federal Reserve's asset-backed security models for the Model Validation Group.

    Before joining the Bank in 2005, Dr. Jensen was an associate professor in the department of economics at Brigham Young University from 2001 to 2005. He has also been an assistant professor at the University of Missouri and Southern Illinois University–Carbondale.

    Dr. Jensen is an associate editor of the Journal of Empirical Finance. He is a past president and treasurer of the Society for Nonlinear Dynamics and Econometrics and is currently a member of its executive committee. Dr. Jensen also serves on the advisory board of the European Union's Seventh Framework Programme for Research. He has published works in the Journal of Econometrics, Econometric Theory, the Journal of Monetary Economics, and the Journal of Money, Credit and Banking, and has presented his research at a number of professional conferences and academic institutions.

    Dr. Jensen earned his bachelor's degree in economics, magna cum laude, from Weber State University. He earned his master's and doctoral degrees in economics from Washington University in St. Louis.

  • Working Papers

    Atlanta Fed Working Papers

    2015-12
    Robust Estimation of Nonstationary, Fractionally Integrated, Autoregressive, Stochastic Volatility
    Mark J. Jensen
    November 2015
    Abstract | Full text Adobe PDF file format (487 KB)

    2014-6
    Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis
    Mark Jensen and John M. Maheu
    June 2014
    Abstract | Full text Adobe PDF file format (1.23 MB)

    2012-9
    Bayesian Semiparametric Multivariate GARCH Modeling
    Mark Jensen and John M. Maheu
    July 2012
    Abstract | Full text Adobe PDF file format (749 KB)

    2012-6
    Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
    Mark Jensen and John M. Maheu
    April 2012
    Abstract | Full text Adobe PDF file format (829 KB)

    2008-15
    Bayesian Semiparametric Stochastic Volatility Modeling
    Mark Jensen and John M. Maheu
    June 2008
    Abstract | Full text Adobe PDF file format (525 KB)

    2006-11
    The Long-Run Fisher Effect: Can It Be Tested?
    Mark Jensen
    August 2006
    Abstract | Full text Adobe PDF file format (156 KB)

  • Other Fed Work

    Articles

    Mark J. Jensen. "Stress Testing with the Help of Bayes' Theorem." Notes from the Vault (2016 February).